Productivity and the Term Structure
研究了生产率变化如何影响从短期到长期的整个利率期限结构，发现生产率的作用复杂且依赖于其变化参数，对制定合适的利率政策有参考价值。
The recent record-setting economic expansion and the accompanying record-setting bull market in stocks are often attributed to Federal Reserve interest rate policy and increased productivity. But if interest rates behave differently when productivity changes, interest rate policy may need to change as well. This Review examines how productivity changes affect the entire term structure of interest rates, from short-term rates to long-term rates. The article works out a model based on a representative agent framework, which considers one person as a price taker who makes investment choices depending on prices, and these choices are used to determine the prices that will clear the markets. The person decides how much to consume and how much to invest in each of two assets—a short-term, risk-free, real bond, and a risky productive investment. A key feature of the model is that risk and return change over time in a way that is directly related to productivity. The results show that productivity plays a crucial role in how various interest rates interact, but its effect is not simple. Productivity is not a single factor that affects interest rates uniformly, and parameters of the productivity process, such as the duration of a productivity increase or the speed of adjustment, affect the term structure differently. These parameters, which might otherwise be overlooked, must be specified before the appropriate interest rate policy can be identified.